Fuzhe Huang

Nankai University

94 Weijin Road

Tianjin, 300071

China

  • Nankai University

SCHOLARLY PAPERS

2

DOWNLOADS

31

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Time to Build and Bond Risk Premia

Number of pages: 42 Posted: 28 Nov 2020
Bin Guo, Fuzhe Huang and Kai Li
Nankai University - School of Finance, Nankai University and Macquarie Business School, Macquarie University
Downloads 31 (726,515)

Abstract:

Loading...

Time to build, CIR model, bond risk premia, path dependence, Non- Markovian asset pricing, stochastic delay differential equations.

2.

Robust Asset-Liability Management with CRRA Utility in Regime-Switching Market: A Continuous-time Model

Posted: 07 Sep 2019
Xiaowei Chen, Fuzhe Huang and Xiufang Li
Nankai University, Nankai University and Nankai University

Abstract:

Loading...

Asset-liability Management; Regime-switching; robustness; CRRA Utility